HI jfb,
Yes, of course the proxy solution would be a different thing running on a different server/docker/VM (UNRAID for example), but that might be something that could be developed by someone who has some free time and knowledge! 
And about uBlock and the other countless of blockers, they work great by themselves - they don't even need Pi-Hole for that. The problem is when you are trying to block ads in Chromecast (or any other embedded YouTube app for that matter), you can only relay on intercepting/proxying the requests that it makes and returning something cleaner, without the ads. For every device we are more than covered (PC, Android, etc.); what we are missing sadly is those embedded apps blocking.
Thanks!